This paper is concerned with fault detection of a kind of nonlinear dynamic system. Based on the framework of hierarchy information processing, the scope of the fault is first located by use of the presented windowing cubature Kalman filter (WCKF), followed by point-by-point fault detection to locate the fault by use of the residuals of each moment within the suspected windows. Theoretical analysis and experiments show that the presented algorithm is more effective than the traditional point-by-point fault detection method that only uses the moment residuals. The presented algorithm has potential value in many application fields, such as fault detection, reliability evaluation, fault tolerant control, etc.